Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 9 | 10 | 9 |
| Score | 5.75 | 10.62 | 7.45 |
| Market Cap (Millions USD) | 2475.76 | 2410.18 | 2374.84 |
| Predicted Beta | 0.74 | 0.73 | 0.75 |
| Idiosyncratic Volatility | 4.09 | 4.34 | 5.75 |
Annualized return and volatility
| ICF | |
|---|---|
| Annualized Return | 0.0995 |
| Annualized Std Dev | 0.2909 |
| Annualized Sharpe (Rf=0%) | 0.3420 |
Row
Daily Return Statistics
| ICF | |
|---|---|
| Observations | 4834.0000 |
| NAs | 280.0000 |
| Minimum | -0.2178 |
| Quartile 1 | -0.0056 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0073 |
| Maximum | 0.1817 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0003 |
| Stdev | 0.0183 |
| Skewness | 0.1658 |
| Kurtosis | 21.4007 |
Downside Risk
| ICF | |
|---|---|
| Semi Deviation | 0.0129 |
| Gain Deviation | 0.0148 |
| Loss Deviation | 0.0154 |
| Downside Deviation (MAR=210%) | 0.0169 |
| Downside Deviation (Rf=0%) | 0.0127 |
| Downside Deviation (0%) | 0.0127 |
| Maximum Drawdown | 0.7674 |
| Historical VaR (95%) | -0.0224 |
| Historical ES (95%) | -0.0435 |
| Modified VaR (95%) | -0.0208 |
| Modified ES (95%) | -0.0208 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-08 | 2009-03-06 | 2013-05-21 | -0.7674 | 1608 | 535 | 1073 |
| 2004-04-02 | 2004-05-10 | 2004-08-24 | -0.1883 | 101 | 27 | 74 |
| 2013-05-22 | 2013-08-19 | 2014-06-05 | -0.1856 | 269 | 63 | 206 |
| 2002-04-15 | 2002-10-09 | 2003-05-12 | -0.1786 | 278 | 127 | 151 |
| 2015-01-27 | 2015-09-04 | 2016-03-17 | -0.1677 | 293 | 158 | 135 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ICF | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | 1.2 | 0.0 | -0.2 | 0.5 | 0.0 | 0.7 | 0.0 | -0.3 | 2.0 | 0.0 | 0.0 | 3.9 |
| 2002 | 0.2 | 1.0 | 1.0 | 0.9 | 0.0 | -0.5 | -1.6 | 0.0 | 0.2 | 0.5 | 0.0 | 0.0 | 1.6 |
| 2003 | 0.0 | 0.0 | 2.0 | 0.6 | 0.0 | 1.3 | -0.8 | 0.0 | 0.7 | 0.0 | 1.4 | 0.0 | 5.4 |
| 2004 | 0.0 | 1.1 | 1.1 | 0.0 | -1.6 | 0.1 | 0.0 | -0.5 | 1.9 | 1.1 | 2.2 | 0.0 | 5.4 |
| 2005 | 0.8 | 1.3 | -0.1 | 0.0 | 1.2 | 1.0 | -0.5 | 0.3 | 0.0 | -2.6 | 1.2 | 0.0 | 2.5 |
| 2006 | 1.0 | 0.5 | 0.0 | -1.4 | 2.2 | 0.0 | -0.2 | -0.7 | 0.0 | -0.7 | -0.2 | 0.0 | 0.4 |
| 2007 | 0.5 | -0.8 | 0.0 | -2.0 | -0.3 | 0.0 | 1.1 | 0.0 | 2.2 | -3.5 | 0.0 | 0.0 | -3.0 |
| 2008 | 4.6 | 0.0 | 6.1 | 2.3 | 0.0 | -0.1 | -0.1 | 0.0 | -1.9 | 0.0 | -21.8 | 0.0 | -13.1 |
| 2009 | 0.0 | 0.0 | -1.4 | -3.0 | 4.1 | 0.4 | 0.0 | -5.5 | -5.0 | 0.0 | 1.2 | 0.0 | -9.2 |
| 2010 | 2.0 | 1.1 | 0.3 | 0.0 | -2.0 | 0.0 | 0.0 | 3.3 | 0.5 | 0.9 | 0.9 | 0.0 | 7.2 |
| 2011 | 0.4 | -3.1 | 0.2 | 0.0 | -2.9 | 1.9 | -1.8 | -1.6 | 0.0 | -3.6 | -1.2 | 0.0 | -11.2 |
| 2012 | 0.9 | 0.6 | 0.0 | 1.2 | -2.6 | 0.0 | -0.3 | 0.0 | -0.7 | 0.4 | 0.0 | 0.0 | -0.6 |
| 2013 | 0.6 | 0.4 | 0.4 | -0.5 | 0.0 | -0.6 | -0.4 | 0.0 | 1.7 | 0.9 | 0.0 | 0.0 | 2.4 |
| 2014 | 0.0 | 0.0 | 0.4 | 0.7 | 0.0 | 0.4 | -0.2 | 0.0 | 0.0 | 0.0 | 0.1 | 0.0 | 1.4 |
| 2015 | 0.0 | 0.0 | -0.4 | 0.8 | 1.2 | 1.7 | 0.0 | -2.0 | 0.5 | 0.0 | 1.6 | 0.0 | 3.4 |
| 2016 | 0.2 | 2.9 | 0.1 | 0.0 | -0.2 | -0.1 | 0.5 | -0.3 | 0.0 | -2.2 | -1.6 | 0.0 | -0.8 |
| 2017 | -1.5 | -0.5 | 0.0 | 0.6 | 0.1 | 0.0 | 0.4 | 0.3 | 0.0 | 0.5 | 0.4 | 0.0 | 0.4 |
| 2018 | -2.4 | 0.3 | 0.0 | 1.2 | 0.4 | 0.0 | 0.7 | 0.0 | -0.8 | 0.3 | 0.0 | 0.0 | -0.3 |
| 2019 | -0.7 | -0.2 | -0.1 | 0.4 | 0.0 | -0.2 | 0.0 | 0.0 | -1.0 | -0.4 | 0.0 | 0.2 | -2.0 |
Row
Rolling Performance Chart
Snail Trail Chart
